Investigating the Relationship between Mutual Funds Flows and the Stock Index in Tehran Stock Market

Document Type : Research Paper

Authors

1 Assistant Prof. in Accounting, University of Tehran, Tehran, Iran

2 M.Sc. in Finance, Allameh Tabataba’i University, Tehran, Iran

Abstract

The purpose of this study is to investigate the relationship
between the mutual funds flows and the return of stock index using 65
mutual funds in the period of 2008 to 2011.In this study, the daily
changes of the total number of units of mutual funds and the changes
of the total values of units of mutual funds were considered as a
criteria for the net of mutual funds flows. The results of Johansen test
show that the series are integrated and there is a significant
relationship between the total net of mutual funds flows and the index
of Tehran stock market in a long term period. After running the
Granger causality test, the results indicated that there is a mutual
causal relationship between the total number of units of mutual funds
and the index. The same relationship is seen between the changes of
total values of units of mutual funds and the index.

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Main Subjects

Financial Research Journal
Volume 15, Issue 2 - Serial Number 2
November 2013
Pages 201-214

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